jubilee (version 0.3.3)

jubilee.forward_rtn: Internal utility to calculate annualized forward and backward (log) return

Description

These two internal utilities are intended to be used to calculate the annualized forward and backward log-return on the given time series. It is really calculating the speed of change, aka log-return, expecting the input to be in logrithmic scale. The forward return is typically the response variable in a forecast. The backward return is often used as explanatory variable in a regression.

Usage

jubilee.forward_rtn(fraction, ts, fwd.rtn.duration, tol.frac = 1/12)
jubilee.backward_rtn(fraction, ts, bwd.rtn.duration, tol.frac = 1/12)

Arguments

fraction

numeric, the ending fraction of regression

ts

numeric, the time series data, typically in log-scale

fwd.rtn.duration

numeric, the forward-looking regression period

tol.frac

numeric, tolerance of missing data in the beginning of backward return, or the ending of the forward return, expressed as fraction. Default is 1/12, that is, one month.

bwd.rtn.duration

numeric, the backward-looking regression period

Value

numeric, the same length as fraction

Examples

# NOT RUN {
  dtb <- jubilee.repo(online=FALSE)@ie
  dtb$fwd.logr.10 <- jubilee.forward_rtn(dtb$fraction, dtb$log.tri, 10)
  dtb$bwd.logr.10 <- jubilee.backward_rtn(dtb$fraction, dtb$log.tri, 10)
  head(subset(dtb, fraction >= 1990),1)$fwd.logr.10 # 1/1990+10y: 0.16745
  tail(subset(dtb, fraction <= 2000+1/12),1)$bwd.logr.10 # the same as above
# }